min_d: Finds the least fractional differentiation order subject to...

In luisdamiano/LeastFracDiff: Grid Search for the Least Fractional Differenciation Order

Description

Finds the least fractional differentiation order subject to fun returning less than threshold.

Usage

min_d(x, fun, threshold, dFrom = 0, dTo = 1, dBy = 0.1)

Arguments

x	A time series. Either a numberic vector or an 'xts' object.
fun	A function taking as only argument the time series and returning a p-value.
threshold	A numerical threshold for the p-value.
dFrom	Lower bound for 'd'.
dTo	Upper bound for 'd'.
dBy	Increment for each in the grid.

Value

The least value of 'd'.

Examples

## Not run: min_d(x, adf, 0.05)

luisdamiano/LeastFracDiff documentation built on May 10, 2019, 3:18 a.m.